Exchange Rate Volatility
Mostrando 1-12 de 24 artigos, teses e dissertações.
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1. International VaR approach: Backtesting for different capital markets
RESUMO O objetivo deste artigo é comparar diferentes métricas de valor em risco (VaR), distinguindo-se de estudos anteriores na medida em que compara três categorias de ativos pertencentes a sete países. Desde a concepção do VaR, foram desenvolvidas várias abordagens para melhorar a precisão da estimativa de perdas. Entretanto, praticamente inexiste
Rev. contab. finanç.. Publicado em: 09/12/2019
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2. TAXA DE CÂMBIO E AJUSTE EXTERNO: UMA INVESTIGAÇÃO COM MODELOS ARDL PARA AS ECONOMIAS EMERGENTES DO BRICS
RESUMO O objetivo deste trabalho é investigar o papel da taxa de câmbio (nível, desalinhamento e volatilidade) para o ajuste externo dos BRICS (1998 a 2015) usando modelos ARDL. Os resultados indicam uma grande assimetria no que diz respeito ao papel da taxa de câmbio no processo de ajustamento de longo e curto prazo. Para os modelos estimados com o desa
Rev. econ. contemp.. Publicado em: 25/11/2019
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3. Effects of overvaluation and exchange rate volatility over industrial investment: empirical evidence and economic policy proposals for Brazil
The present article aims to analyze the recent behavior of real exchange rate in Brazil and its effects over investment per worker in Brazilian manufacturing and extractive industry. Preliminary estimates presented in the article shows an over-valuation of 48% of real exchange rate in Brazil. The reaction between the level (and volatility) of real exchange r
Brazil. J. Polit. Econ.. Publicado em: 2014-09
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4. Fundos soberanos de riqueza de recursos naturais e volatilidade cambial.
The goal of this paper is to empirically verify what the impact of the Sovereign Wealth Funds (SWFs) on the economic stability is. The natural resource SWFs have been a mechanism deployed by economies rich in natural resources to manage the incomes that come from the exploitation of such resources, aiming at objectives that range from savings for future gene
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 22/12/2011
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5. Growth and exchange rate volatility: a panel data analysis
The aim of this article is to assess the role of real effective exchange rate volatility on long-run economic growth for a set of 82 advanced and emerging economies using a panel data set ranging from 1970 to 2009. With an accurate measure for exchange rate volatility, the results for the two-step system GMM panel growth models show that a more (less) volati
Publicado em: 04/08/2011
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6. SENTIMENT ANALYSIS FOR FINANCIAL NEWS ABOUT PETROBRAS COMPANY / CLASSIFICAÇÃO DE SENTIMENTO PARA NOTÍCIAS SOBRE A PETROBRAS NO MERCADO FINANCEIRO
A huge amount of information is available online, in particular regarding financial news. Current research indicate that stock news have a strong correlation to market variables such as trade volumes, volatility, stock prices and firm earnings. Here, we investigate a Sentiment Analysis problem for financial news. Our goal is to classify financial news as fav
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 01/07/2011
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7. Taxa de câmbio real e crescimento econômico: uma comparação entre economias emergentes e desenvolvidas
Real exchange rate and economic growth: a comparison between emerging and developed economies. This paper presents a discussion on the relationship between economic growth and real exchange rate. The article presents the results generated by a dynamic panel that tested the relationship of economic growth with the level of the exchange rate, exchange rate vol
Brazilian Journal of Political Economy. Publicado em: 2011-12
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8. Exchange rate regulation, the behavior of exchange rates, and macroeconomic stability in Brazil
In the last two decades an entirely new set of rules governing the foreign exchange transactions was established in Brazil, substituting for the framework inherited from the 1930s. Foreign exchange controls were dismantled and a floating exchange rate regime replaced different forms of peg. In this paper we argue that although successful by comparison to pre
Brazilian Journal of Political Economy. Publicado em: 2011-12
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9. Exchange rate dynamics in Brazil
The paper aims to investigate on empirical and theoretical grounds the Brazilian exchange rate dynamics under floating exchange rates. The empirical analysis examines the short and long term behavior of the exchange rate, interest rate (domestic and foreign) and country risk using econometric techniques such as variance decomposition, Granger causality, coin
Publicado em: 16/06/2010
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10. EXTRACTING COMMON FACTORS AMONG EXCHANGE RATE REAL/DOLLAR, EMERGENT MARKET BOND INDEX+BRAZIL AND IBOVESPA, VIA FILTRO DE KALMAN / EXTRAÇÃO DE FATOR COMUM ENTRE AS VOLATILIDADES DOS RETORNOS DA TAXA DE CÂMBIO REAL/DÓLAR, RISCO-PAÍS E IBOVESPA VIA FILTRO DE KALMAN
Historically, financial variables¿ volatilities are drastically affected during economical crisis periods. In particular, this statement is valid for the exchange rate between brazilian and north american currencies, the São Paulo Stock Exchange Index (Ibovespa) and the Emerging Market Bond Index + Brazil, usually interpreted as a measure of brazilian sove
Publicado em: 2010
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11. Uma avaliação crítica da proposta de conversibilidade plena do Real
This paper aims at discussing critically Persio Arida’s proposal of adopting currency convertibility in Brazil. Arida (2003a, 2003b, 2004) points out that currency convertibility would make for lower domestic interest rates in Brazil, as well as for lower interest rates for the Brazilian external bonds. Besides, currency convertibility would stabilize capi
Publicado em: 2010
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12. Impacto da intervenção do Banco Central sobre o nível e a volatilidade do câmbio: um estudo não paramétrico para o caso brasileiro / Impacts of Central Bank intervention on level and volatility of the exchange rate: a non parametric study for the Brazilian case
Apesar de o Brasil adotar um regime de flutuação livre de câmbio desde 1999, as intervenções do Banco Central do Brasil no mercado cambial são freqüentes. Assim, a questão do seu impacto sobre o câmbio é natural tanto do ponto-de-vista teórico quanto prático. O presente trabalho investiga os efeitos das atuações do BCB sobre o nível e sobre a
Publicado em: 2010